Senior Fellows/Fellows

|

Senior Fellows/Fellows

The External Financing of Investment

Patrick VERWIJMEREN, Bruce GRUNDY
Controlling for a firm’s existing assets, capital structure and valuation, we document a strong link between an investment’s characteristics and the type of security issued if the investment is externally financed. Investments with more volatile and distant payoffs tend to be equity-financed. In...
Keywords: Investment characteristics, financing, debt-equity choice, convertible securities
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Why Do Option Prices Predict Stock Returns

Luis GONCALVES-PINTO, Allaudeen HAMEED, Thijs VAN DER HEIJDEN, Yichao ZHU
Disagreement between the stock and options markets about the stock’s value can reflect both informed trading in options and temporary price pressure in stocks. We document that the dis-agreement is strongly related to return reversals, order imbalances, and illiquidity in stocks, and weakly relat...
Keywords: Price Pressure, Put-Call Parity, return predictability, Informed Trading
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows, 2017

Currency Wars-Unconventional Monetary Policy Does Not Stimulate Exports

Andrew K. ROSE
I investigate whether countries that use unconventional monetary policy (UMP) experience export booms. I use a popular gravity model of trade which requires neither the exogeneity of UMP, nor instrumental variables for UMP. In practice, countries that engage in UMP experience a drop in exports vis-Ã...
Keywords: quantitative, easing, negative, nominal, interest, trade, gravity, bilateral, data, empirical
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows, 2017

Is the Chinese Stock Market Really Different-Evidence from Stock Splits in the U.S. and China

Sheridan TITMAN, Chishen WEI, Bin ZHAO
We compare and contrast the Chinese and the U.S. stock markets by analyzing stock price reactions around stock split announcements. Both markets exhibit positive initial stock price reactions on split announcements and positive post-split return drift in the initial 3 months. In the U.S., the positi...
Keywords: Sheridan Titman (University of Texas at Austin), Chishen WEI (Singapore Management University), Bin Zhao (Shanghai Jiao Tong University)
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Policy Uncertainty in Japan

Elif C. ARBATLI, Steven J. DAVIS, Arata ITO, Naoko MIAKE, Ikuo SAITO
We develop new economic policy uncertainty (EPU) indices for Japan from January 1987 onwards building on the approach of Baker, Bloom and Davis (2016). Each index reflects the frequency of newspaper articles that contain certain terms pertaining to the economy, policy matters and uncertainty. Our ov...
Keywords: Policy uncertainty, Japan, aggregate investment
  • View
  • Download
  • Bookmark
  •    |